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Does OVX affect WTI and Brent oil spot variance? Evidence from an entropy analysis · Study

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ArticleDoes OVX affect WTI and Brent oil spot variance? Evidence from an entropy analysis

Francesco Benedetto2020

Article2020

Does OVX affect WTI and Brent oil spot variance? Evidence from an entropy analysis

Francesco Benedetto · Loretta Mastroeni · Greta Quaresima · Pierluigi Vellucci

62 citations·0/0 files stored·Energy Economics

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Market Dynamics and Volatility Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root 1988Testing for a Unit Root in Time Series Regression 1992Testing the null hypothesis of stationarity against the alternative of a unit root 2009Granger Causality and Transfer Entropy Are Equivalent for Gaussian Variables 1996Oil price volatility and the macroeconomy 2013Time-Varying Effects of Oil Supply Shocks on the US Economy 2006Modeling and forecasting petroleum futures volatility 2016The directional volatility connectedness between crude oil and equity markets: New evidence from implied volatility indexes

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Year2020

Typearticle

Published2020-06-01

VenueEnergy Economics

ISSN-L0140-9883

Languageen

Citations62

Files0 public / 0

ShelfMarket Dynamics and Volatility

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doi10.1016/j.eneco.2020.104815

openalex_workW3036005121

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